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{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"tags": []
},
"outputs": [],
"source": [
"import ipysheet\n",
"from serenitas.analytics.api import CreditIndex\n",
"from functools import partial"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"tags": []
},
"outputs": [],
"source": [
"sheet = ipysheet.sheet(rows=3, columns=4, column_headers=False, row_headers=False)\n",
"ipysheet.cell(0, 0, 'indices', read_only=True)\n",
"ipysheet.cell(0, 1, 'notionals', read_only=True)\n",
"ipysheet.cell(0, 2, 'price', read_only=True)\n",
"ipysheet.cell(0, 3, 'newref', read_only=True)\n",
"cells = {}\n",
"cells[(1, 0)] = ipysheet.cell(1, 0, '', background_color='yellow')\n",
"cells[(2, 0)] = ipysheet.cell(2, 0, '', background_color='yellow')\n",
"cells[(1, 1)] = ipysheet.cell(1, 1, -10_000_000, read_only=True)\n",
"cells[(2, 1)] = ipysheet.cell(2, 1, 10_000_000, background_color='yellow')\n",
"cells[(1, 2)] = ipysheet.cell(1, 2, background_color='yellow')\n",
"cells[(2, 2)] = ipysheet.cell(2, 2, background_color='yellow')\n",
"cells[(1, 3)] = ipysheet.cell(1, 3, background_color='yellow')\n",
"cells[(2, 3)] = ipysheet.cell(2, 3, read_only=True)\n",
"\n",
"indices = {}\n",
"def create_indices(indices, i, name):\n",
" index_type = name[:2]\n",
" series = int(name[2:])\n",
" indices[i] = CreditIndex(index_type, series, '5yr', notional=cells[(i, 1)].value)\n",
" set_price(indices, i, cells[(i, 2)].value)\n",
" change_notional(indices, cells[(2, 1)].value)\n",
" set_new_ref(indices, cells[(1, 3)].value)\n",
"\n",
"def change_notional(indices, notional):\n",
" index1 = indices[1]\n",
" index2 = indices[2]\n",
" index2.notional = notional\n",
" index1.notional = -index2.notional * index2.factor * index2.risky_annuity / index1.risky_annuity / index1.factor\n",
" cells[(1, 1)].value = index1.notional\n",
" \n",
"def set_price(indices, i, price):\n",
" indices[i].price = price\n",
" change_notional(indices, cells[(2, 1)].value)\n",
" set_new_ref(indices, cells[(1, 3)].value)\n",
"\n",
"def set_new_ref(indices, ref):\n",
" index1 = indices[1]\n",
" index2 = indices[2]\n",
" old_price1, old_price2 = index1.price, index2.price\n",
" old_pv1 = index1.pv\n",
" index1.price = ref\n",
" pv_change = index1.pv - old_pv1\n",
" index2.pv -= pv_change\n",
" cells[(2, 3)].value = index2.price\n",
" index1.price = old_price1\n",
" index2.price = old_price2\n",
"\n",
"indices = {}\n",
"cells[(1, 0)].observe(lambda change: partial(create_indices, indices, 1)(change['new']), 'value')\n",
"cells[(2, 0)].observe(lambda change: partial(create_indices, indices, 2)(change['new']), 'value')\n",
"cells[(2, 1)].observe(lambda change: partial(change_notional, indices)(change['new']), 'value')\n",
"cells[(1, 2)].observe(lambda change: partial(set_price, indices, 1)(change['new']), 'value')\n",
"cells[(2, 2)].observe(lambda change: partial(set_price, indices, 2)(change['new']), 'value')\n",
"cells[(1, 3)].observe(lambda change: partial(set_new_ref, indices)(change['new']), 'value')\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"jupyter": {
"source_hidden": true
}
},
"outputs": [],
"source": [
"sheet"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3 (ipykernel)",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.10.10"
}
},
"nbformat": 4,
"nbformat_minor": 4
}
|
